I installed DOSBox.
I "drag and drop" the INSTALL into the DOSBox and the game is working fine.
I found how to save the game, im pressing F1 and it asking me to save the game from 1-9, so i chose number 1.
When i load the game, it asking me to what number i saved, so i press 1, and the game started from the very begginig.

I'm not sure, but isn't the saving option limited to the beginning of a level in those old platform games? If you haven't progressed beyond level 1, loading a saved game will land you in the beginning of that level.

Non Computer literate! Want to download cosmos cosmic adventures...
Nothing seems to work (then) Windows Media Player gives error message saying it does not support this type of file. Can anyone help me to download so this game works? (in language I can understand)?

It's also for sale elsewhere. You can find the shareware version around for free, but you'll have to learn how to use DosBox. (This forum has "how to use dosbox" instructions to start, like: http://dosgames.com/forum/viewtopic.php?t=13511 for Windows 7 & 8)

If that doesn't get you started, we'll need to know what Computer & OS you are using and lots of other info, just give it a try.

Non Computer literate! Want to download cosmos cosmic adventures...
Nothing seems to work (then) Windows Media Player gives error message saying it does not support this type of file. Can anyone help me to download so this game works? (in language I can understand)?

Sounds like your file associations may be broken. Unfortunately, Microsoft thinks that not showing known extensions is a brilliant idea, so unless you know how to get to the folder options to disable that, it's going to be near impossible to troubleshoot.